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The nylon inserts are for aluminum wheels. You'd want some clip nuts for a steel wheel.
The screws are FORD part # 389465-S45. They are 1/4-20 thread, with a special tapered head on them.
Just set the cap on the wheel, mark it, then drill and tap, or maybe a nut? Even after all my years as a tire monkey, I can't recall what the backs of those look like, and if your aftermarket wheel will accommodate a nut or if it will have to be tapped. Either way, you will want to use the ford screws at all costs, as they are specially tapered to fit that cap, anything less may cause the caps to rattle.
My friends and I have considered doing this, but weren't sure if it would work or not. Something we did notice on some wheels is that the overall diameter of the cap can be a bit larger than the area on the wheel.
As you can see, not only was the area where the lugs bolt up raised, the area where the screws go was raised further, even further accommodating the cap screws. The aftermarket wheels are pretty much flat, so there would be no place for the cap screw to go through to. If you could find a threaded sleeve, tack those in to position., then shorten the screws as not to go through the wheels, you could do that, but seems like a lot of work for a combination that isn't exactly golden.
I have 2 sets of factory ones. I just got looking at the new rims and I should be able to just tap holes. And get 1.5/2 threads out of it before the bolt sticks out. In just going to tap the holes , thread the screws in tight (with a bit of loctite to stop them from comming loose) and grind them of flush on the backside. These runs have the 4.25" hub center so it Would look funny without the caps. It should work for me